Jozef Baruník

Charles University in Prague - Department of Economics

Associate Professor

Opletalova 26

Prague 1, 110 00

Czech Republic

http://ies.fsv.cuni.cz/en/staff/barunik

Institute of Information Theory and Automation, Prague

Research Fellow

Pod vodarenskou vezi 4

CZ-18208 Praha 8

Czech Republic

http://staff.utia.cas.cz/barunik/home.htm

SCHOLARLY PAPERS

43

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236

CROSSREF CITATIONS

23

Scholarly Papers (43)

1.

Persistence in Financial Connectedness and Systemic Risk

Number of pages: 63 Posted: 27 Jul 2020 Last Revised: 21 Sep 2023
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 503 (101,183)
Citation 16

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Finance, Network connections, Variance Decompositions, Persistence, Spectral Domain.

2.

Deep Learning, Predictability, and Optimal Portfolio Returns

Number of pages: 49 Posted: 27 Oct 2020 Last Revised: 11 Sep 2022
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 374 (142,886)

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Return Predictability, Portfolio Allocation, Machine Learning, Neural Networks, Empirical Asset Pricing

3.

Measuring the frequency dynamics of financial connectedness and systemic risk

Journal of Financial Econometrics, Volume 16, Issue 2, 2018
Number of pages: 31 Posted: 08 Jul 2015 Last Revised: 27 Oct 2020
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 368 (145,934)
Citation 10

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Connectedness, frequency, spectral analysis, systemic risk

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 54 Posted: 10 Mar 2021 Last Revised: 01 Nov 2023
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Queensland
Downloads 289 (187,266)
Citation 1

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 46 Posted: 04 Apr 2023
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Queensland
Downloads 42 (752,737)

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

5.

Currency Network Risk

Number of pages: 63 Posted: 18 Feb 2021 Last Revised: 01 Nov 2023
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 324 (167,629)

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Currency predictability, network risk, currency volatility, option-implied volatility, persistence, term structure

6.

Gold, Oil, and Stocks

Number of pages: 27 Posted: 02 Aug 2013 Last Revised: 10 May 2014
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 318 (170,434)
Citation 4

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

7.

Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

Number of pages: 53 Posted: 24 Oct 2015 Last Revised: 30 Dec 2018
Jozef Baruník and Tobias Kley
Charles University in Prague - Department of Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 280 (194,635)
Citation 31

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Cross-spectral analysis, Ranks, Copula, Stock market, Risk

8.

Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks

Number of pages: 26 Posted: 20 Apr 2015
Jozef Baruník and Barbora Malinská
Charles University in Prague - Department of Economics and Charles University in Prague - Faculty of Social Sciences
Downloads 234 (232,610)
Citation 3

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term structure, Nelson-Siegel model, dynamic neural networks, crude oil futures

9.

Asymmetric Connectedness of Stocks: How Does Bad and Good Volatility Spill over the U.S. Stock Market?

Journal of Financial Markets, Vol. 26, 2016
Number of pages: 36 Posted: 06 Aug 2013 Last Revised: 29 Oct 2018
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 226 (240,374)
Citation 4

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Volatility, Spillovers, Semivariance, Asymmetric effects, Financial markets

10.

Dynamic Network Risk

Number of pages: 62 Posted: 07 Jul 2020
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 212 (255,183)

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Network Risk, Firm Volatility, Cross Section Of Stock Returns

11.

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Journal of Financial Econometrics, 2016, Vol. 14, No. 1, 185--226
Number of pages: 49 Posted: 20 Aug 2013 Last Revised: 15 Oct 2017
Filip Zikes and Jozef Baruník
Imperial College London and Charles University in Prague - Department of Economics
Downloads 211 (256,300)
Citation 5

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conditional quantiles, Value-at-Risk, quantile regression, realized measures

12.

Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility

Number of pages: 34 Posted: 27 Apr 2014
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 201 (267,949)
Citation 3

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artificial neural networks, realized volatility, multiple-step-ahead forecasts, energy markets

13.

Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers

CESifo Working Paper Series No. 5305
Number of pages: 30 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 187 (287,313)
Citation 36

Abstract:

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volatility, spillovers, semivariance, asymmetric effects, financial markets

14.

Volatility Spillovers Across Petroleum Markets

William Davidson Institute Working Paper No. 1093
Number of pages: 29 Posted: 29 Apr 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Charles University in Prague
Downloads 180 (298,719)
Citation 13

Abstract:

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volatility spillovers, asymmetry, petroleum markets

15.

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Number of pages: 37 Posted: 30 Aug 2017
Frantisek Cech and Jozef Baruník
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 176 (303,107)
Citation 2

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Panel Quantile Regression, Realized Measures, Value–at–Risk

16.

Gold, Oil, and Stocks: Dynamic Correlations

CESifo Working Paper Series No. 5333
Number of pages: 28 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 172 (307,696)
Citation 1

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

17.

Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data

Number of pages: 35 Posted: 23 Jul 2013 Last Revised: 11 Feb 2015
Krenar Avdulaj and Jozef Baruník
Charles University in Prague - Department of Economics and Charles University in Prague - Department of Economics
Downloads 170 (312,460)
Citation 2

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portfolio diversification, dynamic correlations, high frequency data time-varying copulas, commodities

18.

Asymmetric Network Connectedness of Fears

Review of Economics and Statistics, Forthcoming
Number of pages: 30 Posted: 20 Nov 2018 Last Revised: 27 Oct 2020
Jozef Baruník, Mattia Bevilacqua and Radu Tunaru
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 166 (317,317)
Citation 7

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Implied Volatility, Asymmetric Network Connectedness, U.S. Financial Sector.

19.

Modeling and Forecasting Exchange Rate Volatility in Time-Frequency Domain

Number of pages: 33 Posted: 31 May 2012 Last Revised: 04 Feb 2015
Jozef Baruník, Tomas Krehlik and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 163 (323,983)
Citation 6

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wavelet decomposition, jumps, volatility forecasting, Realized GARCH

20.

Asymmetric Volatility Connectedness on Forex Markets

Journal of International Money and Finance, Vol. 77C, 2017
Number of pages: 39 Posted: 28 Jul 2016 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 162 (323,983)
Citation 18

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volatility, connectedness, spillovers, semivariance, asymmetric effects, forex markets

21.

Do co-jumps impact correlations in currency markets?

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 18 Feb 2016 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 160 (327,421)

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co-jumps, currency markets, realized covariance, wavelets, bootstrap

22.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 152 (341,810)

Abstract:

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

23.

Modeling and Forecasting Persistent Financial Durations

Econometric Reviews, 36:10, 1081-1110, 2017
Number of pages: 49 Posted: 15 Jul 2012 Last Revised: 15 Oct 2017
Filip Zikes, Jozef Baruník and Nikhil Shenai
Imperial College London, Charles University in Prague - Department of Economics and Imperial College London
Downloads 144 (357,012)
Citation 3

Abstract:

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price durations, long memory, multifractal models, realized volatility, Whittle estimation

24.

Learning Probability Distributions in Macroeconomics and Finance

Number of pages: 37 Posted: 27 Apr 2022
Jozef Baruník and Lubos Hanus
Charles University in Prague - Department of Economics and Institute of Economic Studies, Charles University in Prague
Downloads 143 (361,004)

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Distributional forecasting, machine learning, deep learning, probability, economic time series

25.

Co-jumping of Treasury Yield Curve Rates

Number of pages: 37 Posted: 10 Jun 2019
Jozef Baruník and Pavel Fiser
Charles University in Prague - Department of Economics and Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students
Downloads 142 (361,004)
Citation 2

Abstract:

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Co-jumps, Yield curve, Wavelets, High frequency data

26.

Frequency-Dependent Higher Moment Risks

Number of pages: 56 Posted: 12 Apr 2021
Jozef Baruník and Josef Kurka
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 139 (369,129)

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Higher Moments, frequency, Spectral Analysis, Cross-sectional

27.

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2017). The final authenticated version is available online at DOI: doi.org/10.1016/j.jedc.2017.09.006
Number of pages: 38 Posted: 26 May 2016 Last Revised: 21 Sep 2021
Jiri Kukacka and Jozef Baruník
Charles University - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 135 (375,400)
Citation 20

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heterogeneous agent model, simulated maximum likelihood, estimation, intensity of choice, switching

28.

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

CESifo Working Paper No. 7756
Number of pages: 38 Posted: 30 Jul 2019
Jozef Baruník and Evžen Kočenda
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 133 (379,724)
Citation 3

Abstract:

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crude oil, forex market, volatility, connectedness, spillovers, semivariance, asymmetric effects, frequency connectedness

29.

Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise

Quantitative Finance (2015) Vol. 15, No. 8, 1347-1364
Number of pages: 28 Posted: 08 Apr 2012 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 130 (388,831)
Citation 9

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quadratic variation, realized variance, jumps, market microstructure noise, wavelets

30.

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

Number of pages: 55 Posted: 30 Jun 2018 Last Revised: 10 Dec 2021
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 129 (388,831)

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Cross-sectional return variation, downside risk, tail risk, frequency, spectral risk, investment horizons

31.

Common Idiosyncratic Quantile Risk

Number of pages: 44 Posted: 16 Sep 2022 Last Revised: 04 Jun 2023
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 123 (403,270)

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Cross-section of asset returns, factor structure of asset returns, idiosyncratic risk, quantiles, asymmetric risk

32.

Common Firm-level Investor Fears: Evidence from Equity Options

Number of pages: 49 Posted: 09 Sep 2023 Last Revised: 10 Nov 2023
Lancaster University Management School, Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Liverpool
Downloads 115 (423,733)

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asset pricing, implied variance, firm-level, equity options

33.

News-Driven Uncertainty and Volatility Feedback

Number of pages: 25 Posted: 29 Sep 2023
University of Glasgow - Adam Smith Business School, Charles University in Prague - Department of Economics and University of Glasgow, Adam Smith Business School
Downloads 94 (488,050)

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feedback effect, leverage effect, stochastic volatility, uncertainty, sentiment

34.

Heterogeneously Persistent Higher Moments Risks

Number of pages: 55 Posted: 03 Sep 2022
Jozef Baruník and Josef Kurka
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 92 (494,764)

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higher moments, transitory, persistent, cross-section of returns

35.

The Dynamic Persistence of Economic Shocks

Number of pages: 27 Posted: 04 Jun 2023
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 90 (501,589)

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persistence heterogeneity, wold decomposition, local stationarity, time-varying parameters

36.

Realizing Stock Market Crashes: Stochastic Cusp Catastrophe Model of Returns under the Time-Varying Volatility

This is a pre-print of an article published in Quantitative Finance (2015). The final authenticated version is available online at DOI: doi.org/10.1080/14697688.2014.950319
Number of pages: 23 Posted: 28 Feb 2013 Last Revised: 21 Sep 2021
Jozef Baruník and Jiri Kukacka
Charles University in Prague - Department of Economics and Charles University - Institute of Economic Studies
Downloads 87 (515,945)
Citation 5

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stochastic cusp catastrophe model, realized volatility, bifurcations, stock market crash

37.

Forecasting Dynamic Return Distributions Based on Ordered Binary Choice

Number of pages: 30 Posted: 17 Nov 2017 Last Revised: 09 Jan 2019
CERGE-EINew Economic School and Charles University in Prague - Department of Economics
Downloads 84 (523,489)

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asset returns, predictive distribution, conditional probability, probability forecasting, ordered binary choice

38.

How Does Bad and Good Volatility Spill Over Across Petroleum Markets?

The Energy Journal, 36(3), 309-329, 2015
Number of pages: 22 Posted: 12 May 2014 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 82 (531,173)
Citation 2

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volatility spillovers, asymmetry, petroleum markets

39.

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Number of pages: 32 Posted: 24 Aug 2012 Last Revised: 18 Feb 2013
Jozef Baruník and Michaela Barunikova
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic
Downloads 77 (555,032)
Citation 1

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wavelet band spectrum regression, corridor implied volatility, realized volatility, fractional cointegration

40.

Investment Disputes and Abnormal Volatility of Stocks

Number of pages: 23 Posted: 10 Jul 2020
Jozef Baruník, Zdenek Drabek and Matěj Nevrla
Charles University in Prague - Department of Economics, World Trade Organization (WTO) and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 73 (572,195)
Citation 2

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41.

Cyclical Properties of Supply-Side and Demand-Side Shocks in Oil-Based Commodity Markets

Energy Economics, Vol. 65, 2017
Number of pages: 22 Posted: 23 Mar 2016 Last Revised: 15 Oct 2017
Tomas Krehlik and Jozef Baruník
Charles University in Prague and Charles University in Prague - Department of Economics
Downloads 69 (585,350)
Citation 2

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42.

Learning Probability Distributions of Day-Ahead Electricity Prices

Number of pages: 32 Posted: 01 Nov 2023
Jozef Baruník and Lubos Hanus
Charles University in Prague - Department of Economics and Institute of Economic Studies, Charles University in Prague
Downloads 44 (721,046)

Abstract:

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Distributional forecasting, deep learning, probabilistic, electricity, energy time series

43.

Moderation or indulgence? Effects of bank distribution restrictions during stress

Bank of England Working Paper No. 1053
Number of pages: 51 Posted: 24 Jan 2024
Organization for Economic Co-Operation and Development (OECD), Charles University in Prague - Department of Economics, Bank of England and Bank of England
Downloads 15 (961,229)

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Distribution restrictions, Covid-19, required rate of return, lending, pass-through